Correlation Between Cosan SA and Icahn Enterprises
Can any of the company-specific risk be diversified away by investing in both Cosan SA and Icahn Enterprises at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Cosan SA and Icahn Enterprises into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Cosan SA ADR and Icahn Enterprises LP, you can compare the effects of market volatilities on Cosan SA and Icahn Enterprises and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Cosan SA with a short position of Icahn Enterprises. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cosan SA and Icahn Enterprises.
Diversification Opportunities for Cosan SA and Icahn Enterprises
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Cosan and Icahn is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Cosan SA ADR and Icahn Enterprises LP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Icahn Enterprises and Cosan SA is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Cosan SA ADR are associated (or correlated) with Icahn Enterprises. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Icahn Enterprises has no effect on the direction of Cosan SA i.e., Cosan SA and Icahn Enterprises go up and down completely randomly.
Pair Corralation between Cosan SA and Icahn Enterprises
Given the investment horizon of 90 days Cosan SA ADR is expected to under-perform the Icahn Enterprises. But the stock apears to be less risky and, when comparing its historical volatility, Cosan SA ADR is 1.14 times less risky than Icahn Enterprises. The stock trades about -0.27 of its potential returns per unit of risk. The Icahn Enterprises LP is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest 1,282 in Icahn Enterprises LP on September 17, 2024 and sell it today you would lose (287.00) from holding Icahn Enterprises LP or give up 22.39% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Cosan SA ADR vs. Icahn Enterprises LP
Performance |
Timeline |
Cosan SA ADR |
Icahn Enterprises |
Cosan SA and Icahn Enterprises Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Cosan SA and Icahn Enterprises
The main advantage of trading using opposite Cosan SA and Icahn Enterprises positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cosan SA position performs unexpectedly, Icahn Enterprises can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Icahn Enterprises will offset losses from the drop in Icahn Enterprises' long position.Cosan SA vs. Delek Energy | Cosan SA vs. Crossamerica Partners LP | Cosan SA vs. Par Pacific Holdings | Cosan SA vs. Valvoline |
Icahn Enterprises vs. Delek Energy | Icahn Enterprises vs. PBF Energy | Icahn Enterprises vs. HF Sinclair Corp | Icahn Enterprises vs. Delek Logistics Partners |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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